本研究探討美國、德國、法國與英國股市間價格變化關聯性及波動傳遞不對稱現象。應用指數型多變量EGARCH模型(Exponential GARCH Model,EGARCH model)修正 GARCH 模型的若干缺乏,設定干擾可能為非對稱,檢驗美國、德國、法國與英國四國股票市場股票報酬變異波動傳遞可能存在的不對稱現象。本研究實證結果發現:1.美國對德國、法國與英國三國股市間的相關性較低,而德國對法國與英國的相關性較高。2.採用多變量EGARCH模型估計領先與落後關係,顯示美國股市對德國、法國與英國具有領先的效應;而法國受到美國、德國、與英國股市的影響最為明顯;此外,法國與德國股市具雙向回饋效果。3.對於國外股市非預期的波動衝擊,會傳遞至其他國家股市,而造成各國股市的衝擊,且其傳導的過程具有不對稱現象,即一國好消息對他國股市的衝擊會小於壞消息對他國股市的衝擊。其中,德國、法國與英國股市皆受美國股市非預期波動衝擊的影響。
This paper investigates lead-lag relationships and the asymmetric transmission of stock return volatility among four international stock markets (USA, German, France and England). Applying a multivariate exponential GARCH process, we estimates the joint distribution of stock returns of the four stock markets using closing stock market prices covering the period from 1 Jan., 1996 to 31 Dec., 2000. The results show that these countries have significant time dependencies on first and second moment. US stock market leads the other three markets, while French market lags behind. We also found that the markets of these countries exhibit stronger volatility than mean spillovers and the volatility transmissions are asymmetric.